On the structure of the set of active sets in constrained linear quadratic regulation
From MaRDI portal
Abstract: The constrained linear quadratic regulation problem is solved by a continuous piecewise affine function on a set of state space polytopes. It is an obvious question whether this solution can be built up iteratively by increasing the horizon, i.e., by extending the classical backward dynamic programming solution for the unconstrained case to the constrained case. Unfortunately, however, the piecewise affine solution for horizon N is in general not contained in the piecewise affine law for horizon N + 1. We show that a backward dynamic programming does, in contrast, result in a useful structure for the set of the active sets that defines the solution. Essentially, every active set for the problem with horizon N + 1 results from extending an active set for horizon N , if the constraints are ordered stage by stage. Consequently, the set for horizon N + 1 can be found by only considering the constraints of the additional stage. Furthermore, it is easy to detect which polytopes and affine pieces are invariant to increasing the horizon, and therefore persist in the limit N to infinity. Several other aspects of the structure of the set of active sets become evident if the active sets are represented by bit tuples. There exists, for example, a subset of special active sets that generates a positive invariant and persistent (i.e., horizon invariant) set around the origin. It is very simple to identify these special active sets, and the positive invariant and persistent region can be found without solving optimal control or auxiliary optimization problems. The paper briefly discusses the use of these results in model predictive control. Some opportunities for uses in computational methods are also briefly summarized.
Recommendations
- A dynamic programming approach to solving constrained linear-quadratic optimal control problems
- Fast algorithm for a constrained infinite horizon LQ problem
- Constrained linear quadratic regulation
- The explicit linear quadratic regulator for constrained systems
- On the horizons in constrained linear quadratic regulation
Cites work
- A novel approach to multiparametric quadratic programming
- An algorithm for multi-parametric quadratic programming and explicit MPC solutions
- An algorithm to find maximal state constraint sets for discrete-time linear dynamical systems with bounded controls and states
- An improved algorithm for combinatorial multi-parametric quadratic programming
- Dynamic programming and optimal control. Vol. 1.
- Enumeration-based approach to solving parametric linear complementarity problems
- Explicit model predictive control: a connected-graph approach
- scientific article; zbMATH DE number 3502257 (Why is no real title available?)
- Linear systems with state and control constraints: the theory and application of maximal output admissible sets
- Nonlinear Programming
- On constrained infinite-time linear quadratic optimal control
- Stability of solutions to convex problems of optimization
- The explicit linear quadratic regulator for constrained systems
Cited in
(5)- Real-time tunable approximated explicit MPC
- A dynamic programming approach to solving constrained linear-quadratic optimal control problems
- Exploiting symmetries in active set enumeration for constrained linear-quadratic optimal control
- Active set prediction for nonlinear model predictive control on a shrinking horizon based on the principle of optimality
- Explicit MPC solution using Hasse diagrams: construction, storage and retrieval
This page was built for publication: On the structure of the set of active sets in constrained linear quadratic regulation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2280738)
